搜索结果: 1-9 共查到“理论经济学 ASSET PRICING”相关记录9条 . 查询时间(0.103 秒)
For comments and suggestions, we thank Olivier Blanchard, Markus Brunnermeier, John Campbell,
Martin Feldstein, and participants at the NBER Asset Pricing and Monetary Policy Pre-Conference
in Novem...
This paper considers a consumption-based asset pricing model where housing is explicitly modeled
both as an asset and as a consumption good. Nonseparable preferences describe households’ concern
wit...
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model
华中科技大学 投资学 课件 Chapter8 The Capital Asset Pricing Model
2015/5/19
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model。
Leverage Asset Pricing
return predictability cross sectional asset pricing financial intermediation macrofinance
2014/3/18
We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses det...
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
Asset pricing puzzles explained by incomplete Brownian equilibria
Incomplete markets equity premium puzzle
2010/10/21
We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate co...
A Nonparametric Approach to Derivative Asset Pricing
Derivative pricing European options nonparametric kernel estimation
2010/9/7
We utilize the method of Bertholon, Monfort and Pegoraro (2006) for pricing European call options based on nonparametric estimation of returns. Densities are estimated using kernel estimation on rando...